Excess Comovement in International Equity Markets: Evidence from Cross-border Mergers
利用跨境并购样本，发现目标公司系统风险从母国市场转向收购方市场，平均beta转移约0.5，且无法用经营变化或并购协同解释。
Using a large sample of cross-border mergers, we measure the effect of a change in location on systematic risk. When a target firm's location moves, a large part of its systematic risk switches from being related to its home equity market to that of the acquirer. On average, the change in betas is equivalent to an excess shift of about 0.5 in the target's beta from its home market to that of the acquirer. We test whether the change in systematic risk can be explained by fundamental factors related to changes in the operations of the firm or merger synergy and find that it cannot. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.